Examples of Tenor

Examples of com.opengamma.util.time.Tenor

445
446
447
448
449
450
451
452
453
454
455
456
      return message;
    }

    @Override
    public SwapNode buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final Tenor startTenor = Tenor.of(Period.parse(message.getString(START_TENOR_FIELD)));
      final Tenor maturityTenor = Tenor.of(Period.parse(message.getString(MATURITY_TENOR_FIELD)));
      final ExternalId payLegConvention = deserializer.fieldValueToObject(ExternalId.class, message.getByName(PAY_LEG_CONVENTION_FIELD));
      final ExternalId receiveLegConvention = deserializer.fieldValueToObject(ExternalId.class, message.getByName(RECEIVE_LEG_CONVENTION_FIELD));
      final String curveNodeIdMapperName = message.getString(CURVE_MAPPER_ID_FIELD);
      if (message.hasField(NAME_FIELD)) {
        final String name = message.getString(NAME_FIELD);
View Full Code Here

Examples of com.opengamma.util.time.Tenor

498
499
500
501
502
503
504
505
506
507
508
      return message;
    }

    @Override
    public ZeroCouponInflationNode buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final Tenor tenor = Tenor.of(Period.parse(message.getString(TENOR_FIELD)));
      final ExternalId inflationConvention = deserializer.fieldValueToObject(ExternalId.class, message.getByName(INFLATION_CONVENTION_FIELD));
      final ExternalId fixedConvention = deserializer.fieldValueToObject(ExternalId.class, message.getByName(FIXED_CONVENTION_FIELD));
      final InflationNodeType inflationNodeType = InflationNodeType.valueOf(message.getString(INFLATION_NODE_TYPE_FIELD));
      final String curveNodeIdMapperName = message.getString(CURVE_MAPPER_ID_FIELD);
      if (message.hasField(NAME_FIELD)) {
View Full Code Here

Examples of com.opengamma.util.time.Tenor

870
871
872
873
874
875
876
877
878
879
880
      final ExternalIdBundle externalIdBundle = deserializer.fieldValueToObject(ExternalIdBundle.class, message.getByName(EXTERNAL_ID_BUNDLE_FIELD));
      final ExternalId iborIndexConvention = deserializer.fieldValueToObject(ExternalId.class, message.getByName(IBOR_INDEX_CONVENTION_FIELD));
      final boolean isAdvanceFixing = message.getBoolean(ADVANCE_FIXING_FIELD);
      final StubType stubType = StubType.valueOf(message.getString(STUB_TYPE_FIELD));
      final String interpolatorName = message.getString(INTERPOLATOR_NAME_FIELD);
      final Tenor resetTenor = Tenor.of(Period.parse(message.getString(RESET_TENOR_FIELD)));
      final int settlementDays = message.getInt(SETTLEMENT_DAYS_FIELD);
      final boolean isEOM = message.getBoolean(IS_EOM_FIELD);
      final boolean exchangeNotional = message.getBoolean(EXCHANGE_NOTIONAL_FIELD);
      final int paymentLag = message.getInt(PAYMENT_LAG_FIELD);
      final VanillaIborLegConvention convention = new VanillaIborLegConvention(name, externalIdBundle, iborIndexConvention, isAdvanceFixing, interpolatorName,
View Full Code Here

Examples of com.opengamma.util.time.Tenor

60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
    final Currency currency = getRandomCurrency();
    final boolean payer = getRandom().nextBoolean();
    final boolean cap = getRandom().nextBoolean();
    final ZonedDateTime startDate = previousWorkingDay(ZonedDateTime.now().minusDays(getRandom(365) + 7), currency);
    final double notional = (double) getRandom(100000) * 1000;
    Tenor tenor1;
    Tenor tenor2;
    do {
      tenor1 = getRandom(SHORT_TENORS);
      tenor2 = getRandom(LONG_TENORS);
    } while (tenor1.compareTo(tenor2) >= 0);
    final int length = getRandom(tenor2.getPeriod().getYears() - 5) + 3;
    final ZonedDateTime maturityDate = nextWorkingDay(startDate.plusYears(length), currency);
    final ExternalId shortIdentifier = getUnderlying(currency, startDate.toLocalDate(), tenor1);
    final ExternalId longIdentifier = getUnderlying(currency, startDate.toLocalDate(), tenor2);
    final double strike = getRandom(STRIKES);
    final Frequency frequency = getRandom(FREQUENCY);
View Full Code Here

Examples of com.opengamma.util.time.Tenor

45
46
47
48
49
50
51
52
53
54
    final Currency target = deserializer.fieldValueToObject(Currency.class, message.getByName(TARGET_FIELD));
    final String name = message.getString(NAME_FIELD);
    final List<FudgeField> tenorFields = message.getAllByName(TENOR_FIELD);
    final List<Tenor> tenors = new ArrayList<Tenor>();
    for (final FudgeField tenorField : tenorFields) {
      final Tenor tenor = deserializer.fieldValueToObject(Tenor.class, tenorField);
      tenors.add(tenor);
    }
    return new ForwardSwapCurveDefinition(name, target, tenors.toArray(new Tenor[0]));
  }
View Full Code Here

Examples of com.opengamma.util.time.Tenor

58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
  @Override
  public FixedIncomeStrip buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
    final StripInstrumentType type = deserializer.fieldValueToObject(StripInstrumentType.class, message.getByName(TYPE));
    final String conventionName = message.getString(CONVENTION_NAME);
    final Tenor tenor = deserializer.fieldValueToObject(Tenor.class, message.getByName(TENOR));
    if (type == StripInstrumentType.FUTURE) {
      final int numFutures = message.getInt(NUM_FUTURES);
      return new FixedIncomeStrip(type, tenor, numFutures, conventionName);
    } else if (type == StripInstrumentType.PERIODIC_ZERO_DEPOSIT) {
      final int periodsPerYear = message.getInt(PERIODS_PER_YEAR);
      return new FixedIncomeStrip(type, tenor, periodsPerYear, true, conventionName);
    } else if (message.hasField(RESET_TENOR)) {
      final Tenor resetTenor = deserializer.fieldValueToObject(Tenor.class, message.getByName(RESET_TENOR));
      final IndexType indexType = deserializer.fieldValueToObject(IndexType.class, message.getByName(INDEX_TYPE));
      return new FixedIncomeStrip(type, tenor, resetTenor, indexType, conventionName);
    } else if (type == StripInstrumentType.BASIS_SWAP) {
      final Tenor payTenor = deserializer.fieldValueToObject(Tenor.class, message.getByName(PAY_TENOR));
      final Tenor receiveTenor = deserializer.fieldValueToObject(Tenor.class, message.getByName(RECEIVE_TENOR));
      final IndexType payIndexType = deserializer.fieldValueToObject(IndexType.class, message.getByName(PAY_INDEX_TYPE));
      final IndexType receiveIndexType = deserializer.fieldValueToObject(IndexType.class, message.getByName(RECEIVE_INDEX_TYPE));
      return new FixedIncomeStrip(type, tenor, payTenor, receiveTenor, payIndexType, receiveIndexType, conventionName);
    } else {
      return new FixedIncomeStrip(type, tenor, conventionName);
View Full Code Here

Examples of com.opengamma.util.time.Tenor

42
43
44
45
46
47
48
49
50
51
    final UnorderedCurrencyPair target = deserializer.fieldValueToObject(UnorderedCurrencyPair.class, message.getByName("target"));
    final String name = message.getString("name");
    final List<FudgeField> tenorFields = message.getAllByName("tenor");
    final List<Tenor> tenors = new ArrayList<Tenor>();
    for (final FudgeField tenorField : tenorFields) {
      final Tenor tenor = deserializer.fieldValueToObject(Tenor.class, tenorField);
      tenors.add(tenor);
    }
    return new FXForwardCurveDefinition(name, target, tenors.toArray(new Tenor[0]));
  }
View Full Code Here

Examples of com.opengamma.util.time.Tenor

125
126
127
128
129
130
131
132
133
134
135
136
    for (int i = 0; i < SIZE; i++) {
      Pair<SwaptionSecurity, SwapSecurity> pair = null;
      try {
        final Currency ccy = CCYS[random.nextInt(CCYS.length)];
        final LocalDate tradeDate = getTradeDate(random, ccy);
        final Tenor swaptionExpiry = EXPIRIES[random.nextInt(EXPIRIES.length)];
        final Tenor swapMaturity = MATURITIES[random.nextInt(MATURITIES.length)];
        pair = makeSwaptionAndUnderlying(random, ccy, tradeDate, swaptionExpiry, swapMaturity);
      } catch (final Exception e) {
        e.printStackTrace();
      }
      if (pair != null) {
View Full Code Here

Examples of com.opengamma.util.time.Tenor

103
104
105
106
107
108
109
110
111
112
113
    for (int i = 0; i < SIZE; i++) {
      FXForwardSecurity fxForward = null;
      try {
        final UnorderedCurrencyPair ccys = CCYS[random.nextInt(CCYS.length)];
        final LocalDate tradeDate = getTradeDate(random, ccys.getFirstCurrency());
        final Tenor tenor = TENORS[random.nextInt(TENORS.length)];
        fxForward = makeFXForward(random, ccys, tradeDate, tenor);
      } catch (final Exception e) {
        e.printStackTrace();
      }
      if (fxForward != null) {
View Full Code Here

Examples of com.opengamma.util.time.Tenor

62
63
64
65
66
67
68
69
70
71
72
    final CurveSpecificationBuilderConfiguration curveSpecConfig = getCurrencyCurveConfig(ccy);
    if (curveSpecConfig == null) {
      return null;
    }
    final ExternalId swapSecurity;
    final Tenor tenor;
    final int months = (int) maturityTenor.getPeriod().toTotalMonths() + (int) forwardTenor.getPeriod().toTotalMonths();
    if (months < 12) {
      tenor = Tenor.ofMonths(months);
    } else {
      // TODO: this isn't particularly great
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. All rights reserved.
All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.